| Elliptical copulas: applicability and limitations G Frahm, M Junker, A Szimayer Statistics & Probability Letters 63 (3), 275-286, 2003 | 240 | 2003 |
| Ornstein–Uhlenbeck processes and extensions RA Maller, G Müller, A Szimayer Handbook of financial time series, 421-437, 2009 | 160 | 2009 |
| Nonlinear term structure dependence: Copula functions, empirics, and risk implications M Junker, A Szimayer, N Wagner Journal of Banking & Finance 30 (4), 1171-1199, 2006 | 146 | 2006 |
| GARCH modelling in continuous time for irregularly spaced time series data RA Maller, G Müller, A Szimayer | 93 | 2008 |
| Local and spillover shocks in implied market volatility: Evidence for the US and Germany N Wagner, A Szimayer Research in international Business and Finance 18 (3), 237-251, 2004 | 93 | 2004 |
| A multinomial approximation for American option prices in Lévy process models RA Maller, DH Solomon, A Szimayer Mathematical Finance 16 (4), 613-633, 2006 | 71 | 2006 |
| A parsimonious multi-asset Heston model: Calibration and derivative pricing G Dimitroff, S Lorenz, A Szimayer International Journal of Theoretical and Applied Finance 14 (08), 1299-1333, 2011 | 51* | 2011 |
| The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees J Li, A Szimayer Quantitative Finance 14 (2), 327-342, 2014 | 42 | 2014 |
| The flight‐to‐quality effect: a copula‐based analysis RB Durand, M Junker, A Szimayer Accounting & Finance 50 (2), 281-299, 2010 | 37 | 2010 |
| Finite approximation schemes for Lévy processes, and their application to optimal stopping problems A Szimayer, RA Maller Stochastic Processes and their Applications 117 (10), 1422-1447, 2007 | 37 | 2007 |
| Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing B Buchmann, B Kaehler, R Maller, A Szimayer Stochastic Processes and their Applications 127 (7), 2208-2242, 2017 | 34 | 2017 |
| The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts J Li, A Szimayer Insurance: Mathematics and Economics 49 (3), 471-486, 2011 | 33 | 2011 |
| Valuing executive stock options: performance hurdles, early exercise and stochastic volatility P Brown, A Szimayer Financial Accounting and Equity Markets, 389-415, 2013 | 30 | 2013 |
| The COGARCH: a review, with news on option pricing and statistical inference C Klüppelberg, R Maller, A Szimayer Surveys in stochastic processes, 29-58, 2011 | 27 | 2011 |
| What determines early exercise of employee stock options in Australia? T Boyd, P Brown, A Szimayer Accounting & Finance 47 (2), 165-185, 2007 | 25 | 2007 |
| Valuation of American options in the presence of event risk A Szimayer Finance and Stochastics 9 (1), 89-107, 2005 | 25 | 2005 |
| Marginal consistent dependence modelling using weak subordination for Brownian motions M Michaelsen, A Szimayer Quantitative Finance 18 (11), 1909-1925, 2018 | 19 | 2018 |
| A limit theorem for copulas AM Lindner, A Szimayer Discussion Paper, 2005 | 19 | 2005 |
| The Effect of Secondary Markets on Equity‐Linked Life Insurance With Surrender Guarantees C Hilpert, J Li, A Szimayer Journal of Risk and Insurance 81 (4), 943-968, 2014 | 18 | 2014 |
| Pricing American options in the Heston model: a close look on incorporating correlation P Ruckdeschel, T Sayer, A Szimayer | 18 | 2011 |
Ross MallerResearch School of Finance, Actuarial Studies & Statistics, The Australian National UniversityVerified email at anu.edu.au
